Roll it over into a Roth IRA or trad IRA. We've done it a few times. Any online broker will owrk with you (E-Trade, TD Ameritrade, Schwab, etc.). It will take a little more work on your part as you will need to direct the funds rather than having "normal" 401 funds but it's not so bad once you get the swing of it and learn how to allocate your money. Companies like Vanguard and Fidelity make it easy to buy mutual funds and determine your risk level.
It's not as scary as it sounds.